On the Transmission of Memory in Garch‐in‐Mean Models (Q3192402): Difference between revisions

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-Menelaos Karanasos
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+Menelaos Karanasos
@@ Property / author: Menelaos Karanasos / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1111/jtsa.12119
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+W1605024322
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@@ Property / cites work @@
+Testing for unit roots in time series models with non-stationary volatility
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+BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
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+Testing for a change in persistence in the presence of non-stationary volatility
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+The impulse response function of the long memory GARCH process
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+NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL
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+Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
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+The power of unit root tests against nonlinear local alternatives
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+Efficient Tests for an Autoregressive Unit Root
@@ Property / cites work: Efficient Tests for an Autoregressive Unit Root / rank @@
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+Modelling the persistence of conditional variances
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+Prediction in ARMA Models with GARCH in Mean Effects
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+Testing for a unit root under errors with just barely infinite variance
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
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+The performance of unit root tests under level-dependent heteroskedasticity
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+Distribution theory for unit root tests with conditional heteroskedasticity
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@@ links / mardi / name / links / mardi / name @@
+Publication:3192402